| name | pure-idio-vol |
| description | 纯真特质波动率因子。用户说「特质波动」「纯真波动率」「idio vol」「/pure-idio-vol」时使用。对市场回归取残差波动并做截面纯化。默认 create_web。 |
| license | Apache-2.0 |
| metadata | {"author":"opptrix","version":"1.0","title":"纯真特质波动","summary":"CAPM残差波动去相关","category":"quant","slash-rank":"566","default-deliverable":"web","required-packs":"instrument_analytics artifacts"} |
| allowed-tools | search_instruments get_instrument_chart batch_instrument_snapshots get_index_constituents ask_user get_agent_skill_file opptrix_run workspace_write workspace_read create_web update_web read_web list_web_vendor |
| references | ["scripts/pure_idio_vol.py","scripts/fixtures/sample_input.json"] |
纯真特质波动率
特质波动 = CAPM 残差标准差;完整「剔除跨期截面相关」需长面板,本脚本在短样本下降级为截面去均值并声明。
运行
python scripts/pure_idio_vol.py --input data.json --output result.json
signal 按 pure_idio_vol 升序(低波动靠前)。默认 create_web。